金融稳定视角下公允价值顺周期效应实证研究

发布时间：2018-04-24 07:13

本文选题：公允价值 + 顺周期性　；参考：《华中科技大学》2013年硕士论文

【摘要】：金融风暴突袭全球之时,华尔街的银行家们以及美国金融监管当局才恍然大悟,开始重新关注风险控制,然而为时已晚,金融危机全球蔓延。为何起源于华尔街的次贷危机会演变成全球的金融危机呢？当下，，华尔街的银行家们、监管当局以及很多专家学者们都把矛头指向公允价值，质疑其是否能客观真实地反映资产的真实价值；是否在金融危机时过度低估资产的价值；是否加剧了财务报表的波动性，使投资者的信心受挫，甚至指责其顺周期性加剧恶化了金融危机。本文基于金融稳定视角来验证上述质疑，是否公允价值真实加剧了金融危机或只是“替罪羊”。首先，介绍公允价值的形成及发展历程，梳理公允价值相关性、可靠性和解释力度等相关的理论观点，并分析公允价值与金融危机的关系及关于公允价值顺周期性是否是加剧危机的源头的争辩；接着，进行公允价值顺周期性理论分析，先介绍公允价值顺周期效应的表现形式，再阐述公允价值顺周期效应产生原因，最后分析公允价值顺周期传导机制；然后利用事件研究法验证公允价值顺周期性是否存在。基于对中国工商银行、建设银行、中国银行和交通银行的事件研究，以2008年到2009年金融危机爆发的期间为研究区间，分析商业银行的股票收益率与财务状况的相互影响，综合考虑四家大型商业银行的财务状况、不良资产状况、投资者预期等因素，验证公允价值是否存在顺周期性。验证结果显示公允价值存在一定程度的顺周期性，但其并未使金融资产价格出现恶性循环。
[Abstract]:It was too late for Wall Street bankers and U.S. financial regulators to refocus on risk control as the global financial crisis raged. Why did the subprime mortgage crisis, which originated on Wall Street, turn into a global financial crisis? Today, Wall Street bankers, regulators and many pundits are pointing the finger at fair value, questioning whether it can objectively and truly reflect the true value of assets, whether they overestimate the value of assets during the financial crisis. Whether the volatility of financial statements has increased, frustrated investor confidence, and even blamed its pro-cyclical exacerbation of the financial crisis. Based on the perspective of financial stability, this paper verifies whether the true fair value exacerbates the financial crisis or is a scapegoat. First of all, it introduces the formation and development of fair value, combing the correlation, reliability and explanation of fair value. It also analyzes the relationship between fair value and financial crisis, and discusses whether the procyclicality of fair value is the source of the crisis. Then it explains the causes of the procyclical effect of fair value, and finally analyzes the mechanism of the procyclical transmission of fair value, and then verifies the existence of the procyclicality of fair value by the event research method. Based on the case study of Industrial and Commercial Bank of China, China Construction Bank, Bank of China and Bank of Communications, taking the period of the financial crisis from 2008 to 2009 as the research interval, this paper analyzes the mutual influence between the stock yield and the financial situation of commercial banks. Considering four large commercial banks' financial position, non-performing assets condition and investors' expectation, the paper verifies whether the fair value is procyclicality or not. The results show that fair value has a certain degree of procyclicality, but it does not lead to a vicious circle of financial asset prices.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F233;F830.42

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